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Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as … households in both countries face uninsurable income risk, and a real-income channel, as households have heterogeneous marginal … propensities to consume (MPC). While both channels amplify the size of spillovers/spillbacks, only precautionary savings can change …
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This paper provides an analytically tractable theoretical framework to study the optimal supply of central bank reserves when the demand for reserves is uncertain and nonlinear. We fully characterize the optimal supply of central bank reserves and associated market equilibrium. We find that the...
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We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of … the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic … downside risk. Higher exposure to the global price of risk corresponds to both higher output volatility and higher output …
Persistent link: https://www.econbiz.de/10011523754
We discover a novel monetary policy shock that has a widespread impact on aggregate financial conditions. Our shock can be summarized by the response of long-horizon yields to Federal Open Market Committee (FOMC) announcements; not only is it orthogonal to changes in the near-term path of policy...
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